Trend Following Strategy (Test Mode - 20 Tickers)

Trend Following Strategy (Test Mode - 20 Tickers) - Quantitative Strategy Performance Report

Period: 2014-12-31 - 2025-07-21 Report generated: 2025-07-23 Code version: v2.0.0

Executive Summary

Strategy Overview

Strategy: Trend Following Strategy (Test Mode - 20 Tickers)
Period: 2014-12-31 to 2025-07-21
Total Trades: 43890

Strategy Performance

Total Return 122.70%
Annualized Return 8.58%
Volatility 8.86%
Sharpe Ratio 0.75
Max Drawdown -12.99%

Strategy Risk Profile

Beta vs Benchmark 0.4282
Alpha vs Benchmark 2.06%
VaR (95%) -0.87%
Win Rate (Daily) 49.7%

Key Insights

  • Moderate risk-adjusted returns with positive Sharpe ratio
  • Reasonable drawdown control with maximum drawdown under 20%
  • Low win rate suggesting need for signal improvement
  • Positive alpha with some skill-based returns

Strategy Overview

Strategy Characteristics

Strategy Type: Statistical Arbitrage
Asset Class: Equities
Trading Universe: S&P 500
Signal Frequency: High Frequency (1000+ trades/year)
Holding Period: Short-term (<5 days)
Leverage: No leverage (100% cash)

Backtest Parameters

Start Date: 2014-12-31
End Date: 2025-07-21
Total Days: 3855
Initial Capital: $100,000
Data Source: Yahoo Finance

Execution Assumptions

Slippage: N/A (Not implemented)
Commission: N/A (Not implemented)
Liquidity Filters: N/A (Not implemented)
Execution Quality: N/A (Not implemented)

Strategy Description

This statistical arbitrage strategy operates in the equities market with a focus on S&P 500. The strategy employs high frequency (1000+ trades/year) signals with short-term (<5 days) holding periods, designed to capture market inefficiencies through systematic analysis of price patterns and market dynamics.

The backtest covers a 3855-day period from 2014-12-31 to 2025-07-21, starting with $100,000 in initial capital. The strategy would have led to a final value of $221,291, representing a 121.3% return over the 3855-day backtest period. Execution costs and implementation details are not yet implemented in this backtest framework.

Key Performance Metrics - Strategy vs Benchmark

Strategy Performance

Metric Strategy Benchmark
(S&P 500)
Cumulative Return122.70%216.21%
Annualized Return8.58%12.56%
Alpha2.06%0.00%
Sharpe Ratio0.750.70
Sortino Ratio0.950.86
Calmar Ratio0.510.39
Beta0.42821.00

Strategy Risk Profile

Metric Strategy Benchmark
(S&P 500)
Volatility (Ann.)8.86%15.97%
Max Drawdown-12.99%-32.24%
Value-at-Risk (95%)-0.87%-1.62%
Value-at-Risk (99%)-1.76%-3.06%
Tail Risk-1.40%-2.48%
Win Rate (Daily)49.7%56.9%
Turnover8.54N/A

Period Performance - Strategy vs Benchmark

Note: All returns below are annualized (projected annual rate). For actual cumulative returns, see the Performance Chart above.

Period Return (Annualized) Volatility (Annualized)
Strategy Benchmark Strategy Benchmark
MTD 25.07% 50.78% 5.30% 6.99%
YTD 0.04% 12.65% 7.40% 23.62%
1Y 3.24% 12.53% 8.13% 19.70%
3Y 6.02% 17.58% 8.14% 16.66%
5Y 9.33% 14.39% 9.43% 16.55%
All Time 8.55% 12.52% 8.86% 15.97%

Performance Charts

Cumulative Performance (Base 100) - Strategy vs Benchmark

Performance Overview

Cumulative Drawdown from Peak

Note: Shows drawdown from the highest point reached. Negative values indicate decline from peak.

Returns Distribution

Note: Distribution of daily returns. Helps identify return patterns and outliers.

Risk & Volatility Analysis

Rolling Sharpe Ratio (60-Day Window)

Note: 60-day rolling window, annualized. Window adjusts for shorter datasets.

Rolling Beta (60-Day Window)

Note: 60-day rolling window. Shows how strategy's sensitivity to benchmark changes over time.

Correlation & Exposure Analysis

Strategy vs Benchmark Returns Scatter

Beta Calculation: β = Cov(Strategy Returns, Benchmark Returns) / Var(Benchmark Returns)

Portfolio Exposure Over Time

Note: Shows portfolio exposure and allocation changes over time.

Advanced Risk Metrics

Value-at-Risk Over Time

Calculation Method: 30-day rolling window historical VaR (5th percentile). The step-like appearance occurs because VaR changes only when the worst return in the rolling window changes. Note: Shows potential loss estimates at 95% confidence level.

Trade/Signal Summary

Signal Analysis

Metric Value
Daily Signal Hit Rate55.9%
Signals per Month22.3
Position Balance1.00
Convergence Ratio0.0%
Daily Turnover0.034
Daily Signal Hit Rate: Percentage of days with active signals that generated positive returns.
Signals per Month: Average number of trading days per month with active positions.
Position Balance: How evenly distributed positions are between assets (0=unbalanced, 1=perfectly balanced).
Convergence Ratio: Percentage of days when VIX and SPX signals were opposite (volatility spread strategy pattern).
Daily Turnover: Average daily change in position sizes.

Trade Execution

Metric Value
Total Trades Executed43890
Win Rate49.7%
Avg PnL per Trade0.0000 (≈$3)
Annualized Turnover8.5
Win Rate: Percentage of profitable trades (different from signal hit rate).
Avg PnL per Trade: Average profit/loss per trade in portfolio units.
Annualized Turnover: Total position changes per year.
Data Source: Actual Signals

Notes & Metadata

Additional Notes

This report was generated using historical data and backtest results.